Coordinate Descent (CD) Algorithm to Compute Penalized Elastic Net S-estimates

Source: R/control_options.R

Set options for the CD algorithm to compute adaptive EN S-estimates.

cd_algorithm_options(
  max_it = 1000,
  reset_it = 8,
  linesearch_steps = 4,
  linesearch_mult = 0.5
)

Arguments

max_it

maximum number of iterations.

reset_it

number of iterations after which the residuals are re-computed from scratch, to prevent numerical drifts from incremental updates.

linesearch_steps

maximum number of steps used for line search.

linesearch_mult

multiplier to adjust the step size in the line search.

Value

options for the CD algorithm to compute (adaptive) PENSE estimates.

See also

mm_algorithm_options to optimize the non-convex PENSE objective function via a sequence of convex problems.